Depay was born in 1994 to a Ghanaian father, Dennis Depay, and a Dutch mother, Cora Schensema, in the small South Holland village of Moordrecht. It was not long, however, before the relationship between the two parents began to fall apart and when Depay was four, his father walked out on the family. Depay has numerous tattoos, including one on his left arm that is a tribute to his grandfather, who died on the day before he turned 15. When he scored against Australia in the 2014 World Cup, he kissed this tattoo and pointed to the sky, dedicating his goal to his late grandfather a moment which he then in 2016 commemorated with a tattoo on his left torso depicting Christ the Redeemer and the date 18.06.14, referring to his first international goal for the Netherlands. He also has a tattoo on the inside of his lip stating succesvol which is Dutch for ‘successful’ and also has the words ‘dream chaser’ emblazoned on his upper torso.

In 2011, Depay was on trial for PSV’s first team while playing for Jong PSV, the club’s reserve team. He made his official debut on 21 September 2011 in a KNVB Cup second round match against amateur side VVSB, opening an 8–0 away win. His first Eredivisie match was 26 February 2012, when PSV beat rivals Feyenoord 3–2 at the Philips Stadion, coming on in added time for Zakaria Labyad. On 18 March, six minutes after replacing Dries Mertens, he scored his first league goal to confirm a 5–1 win over Heerenveen. He made a total of eight league appearances in his first season, all as a substitute, scoring three goals.

Depay was a member of the Netherlands under-17 team which won the 2011 European Championship in Serbia. In the final against Germany in Novi Sad, he scored the goal which put the Netherlands ahead as they came from behind to defeat their rivals 5–2. Later that year, he participated in the 2011 FIFA U-17 World Cup held in Mexico.

Depay featured in the 2012 KNVB Cup Final on 8 April, playing the final four minutes of the 3–0 win over Heracles in place of Mertens at De Kuip in Rotterdam under interim coach Phillip Cocu. On 29 June 2012, Depay signed his first professional contract with PSV, tying himself to the Boeren until 2017.

On 5 August, Depay featured in the 2012 Johan Cruyff Shield at the Amsterdam Arena, replacing Luciano Narsingh for the final six minutes as PSV defeated league champions Ajax 4–2. He made 20 Eredivisie appearances in his second season, scoring twice, including two starts. The first of these was on 2 March 2013 in a 2–0 home win over VVV-Venlo, scoring after three minutes after being set up by fellow teenager Jürgen Locadia. PSV again reached the cup final, losing 1–2 to AZ on 9 May, with Depay playing five minutes in place of Mertens.

Depay scored his first goal in European football on 30 July 2013, when he drifted in from the left and then smashed the ball into the top corner past goalkeeper Sammy Bossut as PSV defeated Zulte Waregem 2–0 in the first leg of their UEFA Champions League third qualifying round tie. PSV failed to qualify for the group stage of the Champions League, but in its second group stage match in the Europa League, Depay scored again, this time curling the ball into the net from outside the area, as the Dutch side defeated Chornomorets Odesa 2–0 on 3 October.

Depay provided the assist for Tim Matavž’s goal against Roda JC on 27 October 2013, but picked up two second-half yellow cards and was sent off for the first time in his professional career as PSV slumped to a 2–1 defeat. On 15 December, Depay helped PSV to just their second win in 13 matches, scoring twice in a 5–1 win over Utrecht. Depay helped PSV rack up their eighth win a row on 23 March 2014, a 3–1 win over Roda JC, having a hand in Bryan Ruiz’s game-winning goal despite wearing a protective mask to cover a bruised eye socket suffered in a challenge with Renato Ibarra of Vitesse on 15 March.

Depay made his international debut on 15 October 2013, coming on for Jeremain Lens in the last minute of a 2–0 away win against Turkey at the Şükrü Saracoğlu Stadium in World Cup qualification.

On 18 April 2015, Depay scored PSV’s second goal with a free-kick from 35 yards out in a 4–1 home win over Heerenveen to give PSV its 22nd Eredivisie title, its first since 2008. Later that month, the club confirmed that they had received interest from others wishing to sign him, including Manchester United. He scored his last home goal for PSV in a 2–0 win against Heracles on 10 May. As he was substituted off, the stadium was filled with a deafening cheer from the crowd around him and he was met with numerous congratulations from his teammates. He finished the season as the league’s top scorer with 22 goals, two ahead of runner-up and teammate Luuk de Jong.

Depay had originally been the subject of several bids by English side Arsenal, with club manager Arsène Wenger eventually going on to turn down a move for him altogether. On 7 May 2015, PSV confirmed that they had agreed a deal with Manchester United over Depay’s transfer, subject to a medical. United manager Louis van Gaal said that he was “forced” into signing him early, due to interest from Paris Saint-Germain. Despite insistence from Liverpool manager Brendan Rodgers that he had never been after Depay, PSV director Marcel Brands had stated that he had conversations with Liverpool over a possible signing. On 12 June 2015, United confirmed the signing of Depay, for a reported fee of £25 million on a four-year contract with the option to extend for a further year. He was unveiled as a Manchester United player at a press conference on 10 July 2015. This made him the fourth player to join United from PSV after Jaap Stam, Park Ji-sung and Ruud van Nistelrooy.

Following his early struggles in the Premier League, Depay told Dutch newspaper De Telegraaf, “There are a lot of games in Manchester. There are very few rest days and on training days you are mainly concerned with recovering. It’s heavy, two games a week, always at a high level, and my body has to get used to that.” These claims were dismissed by assistant manager and former United player Ryan Giggs, who blamed Depay’s flashy lifestyle for his poor form. Regarding his form, Van Gaal warned Depay of not emulating Ángel Di María, who suffered a similar setback after joining United, and left prior to Depay’s arrival. Depay was later dropped to the bench, along with club and national teammate Daley Blind, during United’s 3–0 win over Everton on 17 October 2015, following the Netherlands’ failure to qualify for UEFA Euro 2016. Despite this, Depay was named in the 59-man longlist for the FIFA Ballon d’Or, but did not make the shortlist.

Depay’s first goal since the World Cup came in a friendly at the Amsterdam Arena on 5 June 2015, deflecting Klaas-Jan Huntelaar’s shot to put the Netherlands 3–1 up against the United States, although the team eventually lost 4–3. In October of that year, he was involved in a fight with teammate Robin van Persie at an international training camp; manager Danny Blind stated to the media, “There are sometimes situations in training where players think different. Then you talk about it. That’s what happened and then it’s over.” The following month, both Depay and Van Persie were dropped from the Dutch squad for friendlies against Wales and Germany, with Blind stating of Depay, “In football you must function in a team. He doesn’t always do that. That’s something he has to learn.”

Early in his career, a PSV coach noted Depay as “very angry”, and he now uses a life coach to aid his mentality. In April 2015, The Daily Telegraph described Depay as “a fearsome striker of the ball with his right foot but is usually used as an inverted left winger who cuts onto his right foot. A pacey and tricky player, his direct running makes him a difficult opponent for defenders”. However, they criticised him as “a ball-hog”, pointing out his high rate of shots in comparison to a low rate of assists. Depay is also known for his free-kick ability. During the 2014–15 season, he was statistically the best set-piece taker in the whole of Europe, as he scored 7 times in 33 attempts, the most in all European leagues and the second-best accuracy.

Depay made only four appearances (all of them as a substitute) and had a total playing time of just 20 minutes in the Premier League during the 2016–17 season. He only started one match in the 2016–17 season – the EFL Cup third round 3–1 away win over League One club Northampton Town on 21 September 2016 – and was substituted after playing 55 minutes of that match. After that match against Northampton Town, he only had 46 minutes of total playing time in competitive matches for Manchester United during the remainder of the 2016–17 season. Depay’s last competitive match for Manchester United was on 24 November 2016 when he played the final eight minutes of a 4–0 Europa League home victory against Feyenoord.

On 20 January 2017, Depay signed a four-and-a-half-year deal with French club Olympique Lyonnais which would tie him to the French club until the summer of 2021. This transfer is known as the first ‘laptop transfer’ in football as Depay chose his next destination with help from computer modelling by data intelligence company SciSports. The initial transfer fee was estimated to be £16–17 million, potentially rising to £22 million with the add-ons including Lyon qualifying for the UEFA Champions League and Depay earning a new contract. The terms of the deal also included buy-back and sell-on clauses for Manchester United.

On 22 January 2017, Depay made his competitive debut for Lyon by coming on as substitute for Mathieu Valbuena in the 79th minute in a home Ligue 1 match against Olympique de Marseille, which Lyon won 3–1. Six days later, he made his first competitive start for Lyon in a home Ligue 1 match against Lille OSC, almost scored when he smashed a shot just over the bar in the ninth minute and was substituted in the 68th minute by Maxwel Cornet; Lyon lost the match 2–1.

On 12 March 2017 in a game against Toulouse, Depay scored a goal from nearly the halfway line. Depay later said it was “the goal of my life”, although he also distanced himself from comparisons to Beckham’s famous halfway line goal against Wimbledon in 1996.

Depay began pursuing a hip-hop career in June 2017 when he released his Los Angeles-inspired freestyle, “LA Vibes”. The music video featured Quincy Promes, Depay’s teammate on the Netherlands national team. The song’s music video earned around 150,000 views within hours of being uploaded to YouTube. In December 2017, Depay released his freestyle track “Kings & Queens”. On 3 October 2018, he collaborated with musical artists Winne and Nana Fofie and producer Rass King for his Ghana-inspired single, “AKWAABA”. and also released his third freestyle, “Porto Cervo (Interlude)”, with Winne. Depay released his fourth freestyle, “5-mill” in response to his Instagram account reaching 5 million followers. Critics of the freestyle claimed that Depay’s public image was hampered through his cigar-smoking and his careless attitude. In December 2018, he released his second single, “No Love”, over his cancelled engagement with model Lori Harvey. The song is multilingual, switching back and forth between the English and Dutch languages. In July 2019, Depay released “Fall Back”. On 1 November 2019, Broederliefde released an album, “Broeders”, which featured Depay in the song “Lange Jas”. Depay recently announced his new song “For A Week” on his Instagram. On 17 April 2020, Memphis released “Dubai Freestyle”. In September 2020, Memphis released his new song “2 Corinthians 5:7”.

In June 2017, it was announced on social media that Depay was engaged to Lori Harvey, the youngest daughter of American television personality Steve Harvey. Since then, they have ended their engagement and relationship.

On 5 November 2019, Depay scored his fourth goal in as many games for Lyon against Benfica in a 3–1 win in the 2019–20 UEFA Champions League. On 10 December, he scored an equaliser against RB Leipzig in a 2–2 draw to help Lyon to qualify to the knockout phase, hence he scored his 5th goal in 5 consecutive matches in the competition.

On 15 December, Depay tore his anterior cruciate ligament while playing against Rennes in Ligue 1, ending a successful season during which he had scored nine goals in 12 league starts for Lyon. He returned from his injury to start for Lyon in the French League Cup final against Paris Saint-Germain on 31 July 2020. On 7 August 2020, Depay scored in his sixth consecutive Champions League match, converting a penalty in a 2–1 loss to Juventus in the second leg of their round of 16 tie; he is only the second Dutch player to score in six straight Champions League games, following fellow former Manchester United striker Ruud van Nistelrooy. The tie finished 2–2 on aggregate, but Lyon progressed on the away goals rule. Lyon eventually reached the semi-finals for the second time in their history after 2010.

On 28 August 2020, Depay scored a hat-trick in a 4–1 win against Dijon, in the first match of the 2020–21 season.

In April 2020, Depay was criticised by several animal rights organisations for posting pictures of himself with a liger cub while on vacation in Dubai. Depay responded by stating that “ligers are not even wild animals”, so he has not done anything to affect their place in nature.